{"paper":{"title":"Smooth Transition HYGARCH Model: Stability and Forecasting","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.ME"],"primary_cat":"stat.CO","authors_text":"Ferdous Mohammadi, Saeid Rezakhah","submitted_at":"2017-01-19T10:26:48Z","abstract_excerpt":"HYGARCH process is the commonly used long memory process in modeling the long-rang dependence in volatility.\n  Financial time series are characterized by transition between phases of different volatility levels. The smooth transition HYGARCH (ST-HYGARCH) model is proposed to model time-varying structure with long memory property. The asymptotic behavior of the second moment is studied and an upper bound for it is derived. A score test is developed to check the smooth transition property. The asymptotic behavior of the proposed model and the score test is examined by simulation. The proposed mo"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1701.05358","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}